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Michele Bonollo
Senior Risk Specialist

Linkedinmichele.bonollo@sgsbp.it
PhD in Statistics at University of Padoa, Master’s Degree in Mathematical Modeling for Finance at University Paris VI. He worked in several roles, either managerial or specialistic ones, in important banks and consulting firms where he was mainly in charge of financial models and software systems, risk management, and financial regulation. He is currently Senior Risk Expert at Numerix LLC. During his career, he has always collaborated with research and didactical activities. He taught and still teaches courses in multiple universities, has delivered speeches in a few dozens of conventions, and boasts over 20 publications in international and field-related scientific journals. He is also member of the Curriculum Committee of the Master of Quantitative Finance at MIP-Polytechnic University of Milan. He was Consultant at Iason Ltd.
Analytical pricing of CDOs in a multi-factor setting by a moment-matching approach

2012-01:
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Analytical credit VaR with stochastic probabilities of defaults and recoveries
Authors: Michele Bonollo, Fabio Mercurio, Paola Mosconi
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2009-06:
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Basel II second pillar: an analytical VaR with contagion and sectorial risks
Authors: Michele Bonollo, Fabio Mercurio, Paola Mosconi
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2009-01:
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